I had two winning trades to the long side today.

First trade:
The market seemed quiet and bullish. I went long early with five contracts. I used a two-point stop, and scaled out of four of the contracts for a profit. I sold the last contract because I had to run some errands. There was a nice profit on the trade.

Transactions for first trade:
Buy     1       1379.75 7/31/2012 7:59:34 AM Entry      1L
Buy     2       1379.75 7/31/2012 7:59:34 AM Entry      3L
Buy     2       1379.75 7/31/2012 7:59:34 AM Entry      5L
Sell    1       1380.75 7/31/2012 8:02:59 AM Exit       4L
Sell    1       1380.75 7/31/2012 8:02:59 AM Exit       3L
Sell    1       1380.75 7/31/2012 8:02:59 AM Exit       2L
Sell    1       1380.75 7/31/2012 8:02:59 AM Exit       1L
Sell    1       1382    7/31/2012 8:29:07 AM Exit       -

Heat for the first trade:
5.0 * (1379.75 -  1379.50) = 1.25 points

Profit for the first trade:
-5.0 * 1379.75 + 4.0 * 1380.75 + 1382.00 = 6.25 points


Second trade:
I scaled in and out of a 2-contract long position later in the day. I finally exited with a sell-limit order because I was uncomfortable staying long. The 50-period SMA on the 5-min chart had stayed negative all day. I felt that the market could go down, but was unlikely to go up much. In retrospect, I sold at a pretty good time.

Transactions for second trade:
Buy     1       1376.75 7/31/2012  9:11:53 AM Entry     1L
Buy     1       1375.5  7/31/2012  9:57:13 AM Entry     2L
Sell    1       1377    7/31/2012 10:07:57 AM Exit      1L
Buy     1       1376.75 7/31/2012 10:58:04 AM Entry     2L
Sell    1       1377.75 7/31/2012 11:05:25 AM Exit      1L
Sell    1       1378.75 7/31/2012 11:11:57 AM Exit      -

Heat for the second trade:
1376.75 + 1375.50 - 2.0 * 1375.00 = 2.25

Profit for the second trade:
-1376.75 - 1375.5 + 1377 - 1376.75 + 1377.75 + 1378.75 = 4.50

Total profit for today: 6.25 + 4.5 = 10.75

The market seemed quiet and bullish. I went long early with one contract, but was stopped out for a small gain. Later I scaled in and out of up to four contracts long using limit orders. I was finally stopped out, but made a nice profit for the day.

Transactions:
Buy     1       1384.25 7/30/2012  7:02:50 AM Entry     1L
Sell    1       1384.75 7/30/2012  7:31:55 AM Exit      -
Buy     1       1379.5  7/30/2012  8:21:40 AM Entry     1L
Buy     1       1377.5  7/30/2012  8:36:11 AM Entry     2L
Buy     1       1377.5  7/30/2012  9:05:56 AM Entry     3L
Buy     1       1377.5  7/30/2012  9:05:59 AM Entry     4L
Sell    1       1378.5  7/30/2012  9:41:22 AM Exit      3L
Sell    1       1380.5  7/30/2012  9:43:24 AM Exit      2L
Buy     1       1379.5  7/30/2012  9:47:34 AM Entry     3L
Buy     1       1378.75 7/30/2012  9:58:12 AM Entry     4L
Sell    1       1379.75 7/30/2012 10:09:26 AM Exit      3L
Sell    1       1379.75 7/30/2012 10:09:26 AM Exit      2L
Sell    1       1380.75 7/30/2012 10:34:12 AM Exit      1L
Sell    1       1378.75 7/30/2012 10:44:27 AM Exit      -

Heat:
1379.50 + 1377.50 + 2.0 * 1377.50 - 4.0 * 1376.50 = 6.0 at 0920HRS

Total Profit:
-1384.25 + 1384.75 - 1379.5 - 1377.5 - 1377.5 - 1377.5 + 1378.5 + 1380.5 -1379.5 - 1378.75 + 1379.75 + 1379.75 + 1380.75 + 1378.75 = 8.25

I didn't have time to trade yesterday. I was busy doing electrical and plumbing work on my house with my brother-in-law, Bob. I also helped my neighbor, Fred, format a hard disk and install Windows 7 on a new computer.

Today was almost picture-perfect. I went long at about 7 AM, then scaled out, and trailed the stop on my remaining contract all the way to the close. In retrospect, it would have been a good idea to add to my long position at about 10 AM.


Transactions:
Buy     4       1366.25 7/27/2012  7:06:03 AM Entry     4L
Sell    2       1367.25 7/27/2012  7:45:19 AM Exit      2L
Sell    1       1370.25 7/27/2012  8:00:20 AM Exit      1L
Sell    1       1381.25 7/27/2012 12:59:55 PM Exit      -

Heat: 4.0 * (1366.25 - 1364.25) = 8.0

Total Profit:
-4.0 * 1366.25 + 2.0 * 1367.25 + 1370.25 + 1381.25 = 21.0

The market went way down after the cash close yesterday when Apple reported disappointing earnings. I couldn't resist the bargain, so I bought four contracts, set some sell orders, and went to bed. I woke up to a nice surprise. Then, I traded a little more and made even more. I finished up early today.

Transactions:
Buy     1       1321.75 7/24/2012  1:39:36 PM Entry     1L
Buy     3       1321.75 7/24/2012  1:39:36 PM Entry     4L
Sell    1       1329.75 7/25/2012 12:15:24 AM Exit      3L
Sell    1       1333.75 7/25/2012  2:37:20 AM Exit      2L
Sell    1       1337.75 7/25/2012  5:28:39 AM Exit      1L
Buy     1       1332.00 7/25/2012  7:02:15 AM Entry     2L
Sell    1       1333.50 7/25/2012  9:47:47 AM Exit      1L
Buy     1       1332.00 7/25/2012  9:48:17 AM Entry     2L
Sell    1       1334.00 7/25/2012 10:10:21 AM Exit      1L
Sell    1       1337.50 7/25/2012 11:33:30 AM Exit      -

Total Profit:
- 1321.75 -3.0 * 1321.75 + 1329.75 + 1333.75 + 1337.75 - 1332.00 + 1333.50 - 1332.00 + 1334.00 + 1337.50 = 55.25

Oops! The market did not follow the  usual pattern of going up during the cash session. I lost big.

Executions:
Buy     1       1340.50 7/24/2012  6:59:45 AM Entry     1L
Buy     1       1340.00 7/24/2012  7:04:33 AM Entry     2L
Buy     1       1335.75 7/24/2012  8:01:46 AM Entry     3L
Sell    1       1339.75 7/24/2012  8:25:58 AM Exit      2L
Buy     1       1337.75 7/24/2012  8:29:56 AM Entry     3L
Buy     1       1329.75 7/24/2012  9:03:53 AM Entry     4L
Sell    2       1324.50 7/24/2012 12:10:54 PM Exit      2L
Sell    1       1324.50 7/24/2012 12:10:54 PM Exit      1L
Sell    1       1324.50 7/24/2012 12:10:54 PM Exit      -

Loss for today:
- 1340.50 - 1340.00 - 1335.75 + 1339.75 - 1337.75 - 1329.75 + 2.0 * 1324.50 + 1324.50 + 1324.50 = -46.00

I didn't trade Friday because I went to visit USS Midway instead.

The market went down dramatically on Friday and over the weekend. So, a positive move during today's cash session made sense. I did a pair a single-contract long trades late in the morning.

Executions:
Buy  1    1338.50 7/23/2012 8:18:28 AM Entry 1L
Sell 1    1340.75 7/23/2012 8:55:22 AM Exit  -
Buy  1    1338.75 7/23/2012 9:12:26 AM Entry 1L
Sell 1    1341.00 7/23/2012 9:47:33 AM Exit  -

Profit for today:
- 1338.50 + 1340.75 - 1338.75 + 1341.00 = 4.50 points

Today, I made one long trade that was OK, then a good long trade, then a bad long trade.

Trade 1: I scaled into and out of a long starting in the premarket and did OK.

Buy     1       1371.50 7/19/2012  6:15:32 AM Entry     1L

0635HRS Heat 1371.50 - 1369.50 = 2.00


Buy     1       1369.75 7/19/2012  7:00:44 AM Entry     2L


0715HRS Min 1366.00 Heat 1371.50 + 1369.75 - 2.0 * 1369.50 = 8.25


Sell    1       1370.00 7/19/2012  7:23:08 AM Exit      1L
Sell    1       1373.00 7/19/2012  8:35:38 AM Exit      -

The profit on the early trade was:
- 1371.50 - 1369.75 + 1370.00 + 1373.00 = 1.75

Trade 2: I went long again:
Buy     1       1371.00 7/19/2012  8:45:12 AM Entry     1L
Sell    1       1375.00 7/19/2012  9:25:35 AM Exit      -

The profit on this trade was:
- 1371.00 + 1375.00 = 4.00


I went long again with multiple contracts, but ended up being stopped out.
Buy     1       1374.00 7/19/2012  9:39:34 AM Entry     1L
Buy     2       1374.00 7/19/2012  9:39:41 AM Entry     3L
Sell    1       1372.75 7/19/2012  9:49:03 AM Exit      2L
Sell    2       1372.75 7/19/2012  9:49:03 AM Exit      -

Loss for this trade:
- 3.0 * 1374.00 + 3.0 * 1372.75 = -3.75

Total profit for the day:
1.75 + 4.00 - 3.75 = 2.00

In retrospect, it would have been a good trade to go long at exactly 10 AM. I could have bought multiple contracts, scaled out, then had a stop that would have been break even or better.

he market went up on news near the open. I caught some of the uptrend.

Then I waited until about 9 and got long again. I scaled into a 3-contract long position. I sold two contracts at a slight profit. But, the party was over,\
 and I got stopped out on the third contract for a slight gain overall.

Executions:
Buy     1       1358.75 7/18/2012  6:47:40 AM   Entry   1L
Sell    1       1362.75 7/18/2012  7:03:46 AM   Exit    -
Buy     1       1368.75 7/18/2012  9:15:36 AM   Entry   1L
Buy     1       1369.25 7/18/2012  9:36:37 AM   Entry   2L
Buy     1       1369.00 7/18/2012 10:02:49 AM   Entry   3L
Sell    1       1369.50 7/18/2012 10:26:16 AM   Exit    2L
Sell    1       1369.50 7/18/2012 10:26:16 AM   Exit    1L
Sell    1       1368.25 7/18/2012 10:32:29 AM   Exit    -


Net for today:
- 1358.75 + 1362.75 - 1368.75 - 1369.25 - 1369.00 + 1369.50 + 1369.50 + 1368.25 = 4.25

The market went way down on news near the open. I thought it was oversold, so went long with one contract then sold it for a 4-point gain. Event though this trade was profitable, I took a lot of heat.

Heat on the 7:37 to 8:38 trade:
1344.50 - 1339.25 = 5.25 points

Then I waited until about 9 and got long again. I scaled into a 2-contract long position. I was hoping that the market would keep going up into the close, but I was stopped out for a pretty good gain.

Executions:
Buy     1       1344.50 7/17/2012  7:37:14 AM   Entry   1L
Sell    1       1348.50 7/17/2012  8:38:41 AM   Exit    -
Buy     1       1352.25 7/17/2012  9:02:46 AM   Entry   1L
Buy     1       1354.00 7/17/2012  9:56:25 AM   Entry   2L
Sell    1       1357.50 7/17/2012 12:06:32 PM   Exit    1L
Sell    1       1355.50 7/17/2012 12:39:27 PM   Exit    -

Net for today:
- 1344.50 + 1348.50 - 1352.25 - 1354.00 + 1357.50 + 1355.50 = 10.75

I went long early in the trading day with one contract which I sold for a nice profit. Then I waited until about 9 AM and scaled into a long position. I was hoping that the market would go up into the close, but I was stopped out for a small profit.

Executions:
Buy     1       1348.00 7/16/2012  7:56:49 AM   Entry   1L
Sell    1       1352.00 7/16/2012  8:18:23 AM   Exit    -
Buy     1       1349.00 7/16/2012  8:57:57 AM   Entry   1L
Buy     1       1349.50 7/16/2012  9:10:55 AM   Entry   2L
Buy     1       1346.75 7/16/2012  9:37:50 AM   Entry   3L
Sell    1       1349.75 7/16/2012 10:46:49 AM   Exit    2L
Sell    1       1348.75 7/16/2012 11:53:46 AM   Exit    1L
Sell    1       1348.75 7/16/2012 11:53:46 AM   Exit    -

Net for today:
-1348.00 + 1352.00 - 1349.00 - 1349.50 - 1346.75 + 1349.75 + 1348.75 + 1348.75 = 6.00 points

I missed the rally today. I stayed out of the market near the open because news was coming out. I did get in after 930 am. I used a tight stop because I was hesitant and got stopped out for a slight loss.

Transactions:
Buy     1       1348.50 7/13/2012  9:18:47 AM Entry     1L
Buy     1       1348.50 7/13/2012  9:48:22 AM Entry     2L
Buy     1       1348.50 7/13/2012  9:48:22 AM Entry     3L
Sell    1       1349.25 7/13/2012 10:50:33 AM Exit      2L
Sell    1       1348.00 7/13/2012 11:05:16 AM Exit      1L
Sell    1       1348.00 7/13/2012 11:05:16 AM Exit      -

Net for today:
-1348.50 - 1348.50 - 1348.50 + 1349.25 + 1348.00 + 1348.00 = -0.25

I started the day still long two contracts from from yesterday. There was a big pullback due to the unemployment report. I bought an additional contract, then sold all three as the market went up during the day.

I've been long at least one contract since July 2, made 16 buy/sell trades, and ended up with a profit of 3.00 points. During that 10-day period, the market dropped about 26 points. I would have done a lot better by just staying short over that time. The longer-term indicators, such as the MACD on the daily chart, were bullish. In summary, I daytraded against the trend to end up with a slight profit instead of a big loss. That counts as a tactical victory, but a strategic standoff.


Executions:
Buy     1       1320.00 7/12/2012  7:43:11 AM Entry     3L
Sell    1       1324.00 7/12/2012  8:03:30 AM Exit      2L
Sell    1       1328.00 7/12/2012  8:55:35 AM Exit      1L
Sell    1       1332.00 7/12/2012 10:21:22 AM Exit      -


(1358.00 + 1354.50 - 1358.25 + 1356.75 - 1357.50 + 1356.50 - 1358.50 + 1356.50 - 1358.50 + 1366.50 + 1364.75 - 1366.75 - 1368.50 + 1350.00 - 1352.00 + 1350.50 + 1342.50 - 1352.50 - 1347.00 + 1342.50 - 1346.25 + 1336.25 - 1337.75 + 1336.00 - 1337.00 - 1337.00 + 1338.00 - 1338.75 + 1320.00 - 1324.00 - 1328.00 - 1332.00) = 3.00

I didn't trade yesterday as I was busy going to the dentist and taking my wife's car to the dealer for service.

I stayed long 1 contract from Monday.

The market was way down overnight, and I thought I could make some money going long. I did OK until I got stuck in the downdraft caused by the Fed announcement.

Transactions:

Buy     1       1336.25 7/11/2012  6:20:39 AM   Entry   2L
Sell    1       1337.75 7/11/2012  6:51:25 AM   Exit    1L
Buy     1       1336.00 7/11/2012  7:28:11 AM   Entry   2L
Sell    1       1337.00 7/11/2012  8:08:25 AM   Exit    1L
Buy     1       1337.00 7/11/2012  9:14:53 AM   Entry   2L
Buy     1       1338.00 7/11/2012 10:01:33 AM   Entry   3L
Sell    1       1338.75 7/11/2012 11:00:02 AM   Exit    2L

(1358.00 + 1354.50 - 1358.25 + 1356.75 - 1357.50 + 1356.50 - 1358.50 + 1356.50 - 1358.50 + 1366.50 + 1364.75 - 1366.75 - 1368.50 + 1350.00 - 1352.00 + 1350.50 + 1342.50 - 1352.50 - 1347.00 + 1342.50 - 1346.25 + 1336.25 - 1337.75 + 1336.00 - 1337.00 - 1337.00 + 1338.00 - 1338.75) / 2.0 = 1333.50

I finished the day long 2 contracts with an average cost of 1333.50.

I was long 2 contracts over the weekend. I sold one in the premarket. Later in the day, I took advantage of the typical afternoon New York time rally to pick up a few points.


Tranactions:
1358.00 + 1354.50 - 1358.25 + 1356.75 - 1357.50 + 1356.50 - 1358.50 + 1356.50 - 1358.50 + 1366.50 + 1364.75 - 1366.75 - 1368.50 + 135\
0.00 - 1352.00 + 1350.50 + 1342.50 - 1352.50 - 1347.00 + 1342.50 - 1346.25 = 1333.25

I like to think that I am long one contract with an effective price of 1333.25 and I have an unrealized profit of
1347.50 - 1333.25 = 14.25 points

Today's transactions:
Sell    1       1347.00 7/9/2012  5:17:26 AM    Exit    1L
Buy     1       1342.50 7/9/2012  9:45:19 AM    Entry   2L
Sell    1       1346.25 7/9/2012 10:36:51 AM    Exit    1L

The market went way down before the cash open. It didn't like the employment report. I couldn't resist going long.


Buy     1   1350.00 7/6/2012  5:50:53 AM Entry 2L
Sell    1   1352.00 7/6/2012  6:07:52 AM Exit  1L
Buy     1   1350.50 7/6/2012  6:23:33 AM Entry 2L
Buy     1   1342.50 7/6/2012 11:20:02 AM Entry 3L
Sell    1   1352.50 7/6/2012  1:14:55 PM Exit  2L

The transactions for this week are:
(1358.00 + 1354.50 - 1358.25 + 1356.75 - 1357.50 + 1356.50 - 1358.50 + 1356.50 - 1358.50 + 1366.50 + 1364.75 - 1366.75 - 1368.50 + 1350.00 - 1352.00 + 1350.50 + 1342.50 - 1352.50) / 2.0 = 1342.00

In effect I am long two contracts from 1342.00 with an unrealized profit of (1352.50 - 1342.00) * 2.0 = 21.00 points for this week.

Update on July 3 trading

The futures market reopened for after-hours trading at 1330HRS. I sold 1 contract for 1358.50 at 1420HRS:


Sell        1    1358.5       7/3/2012 2:20:31 PM       Exit    1L

I'm still long 1 contract.
The effective cost for the single contract is:
1358.00 + 1354.50 - 1358.25 + 1356.75 -1357.50 + 1356.50 - 1358.50 + 1356.50 - 1358.50 + 1366.50 + 1364.75 - 1366.75 - 1368.50 = 1345.5

I'm going to be busy with family stuff for the rest of the week, so I may not do any trading. I have a sell limit order on the last contract at 1374.50.

Market closed early due to July 4 holiday

The market closed early today due to the 4th of July holiday. That surprised me, but it shouldn't have. http://www.cmegroup.com/tools-information/holiday-calendar/ has links to all the holiday schedules for emini futures trading.

At the close yesterday, I was long one contract. I traded a bit in the overnight market:

Buy     1       1356.50 7/2/2012  5:17:54 PM    Entry   2L

Sell    1       1358.50 7/2/2012  7:01:23 PM    Exit    1L

Buy     1       1356.50 7/2/2012 11:32:54 PM    Entry   2L

Sell    1       1358.50 7/3/2012  2:44:03 AM    Exit    1L

Buy     1       1366.50 7/3/2012  9:12:40 AM    Entry   2L

Buy     1       1364.75 7/3/2012  9:31:28 AM    Entry   3L

Sell    1       1366.75 7/3/2012  9:55:40 AM    Exit    2L

Ninjatrader says that I am long 2 contracts with and average cost basis of 1359.07142857143

967.857142857133 PnL

862.50 Realized profit since Sunday

Average price 1359.07142857143

Closing price:

1368.75

(1368.75 - 1359.07142857143) * 2.0 = 19.357142857139934 points

19.357142857139934 * 50 = 967.8571428569967 That explains the PnL

I don't understand why the Ninjatrader Realized profit is so big.

I prefer to think of it this way.

The cost basis for the two contracts I have:

(1358.00 + 1354.50 - 1358.25 + 1356.75 - 1357.50 + 1356.50 - 1358.50 + 1356.50 - 1358.50 + 1366.50 + 1364.75 - 1366.75) / 2.0 = 1357.00

per contract

So, I'm effectively long 2 contracts from 1357.00

The unrealized profit at market close would be 2.0 * (1368.75 - 1357.00) = 23.50 points

23.50 points * $50/point =

23.50 * 50 = $1175.00

I went long off on Sunday afternoon and scaled in-and-out all day Monday.

From Ninjatrader:
Average Price 1356.41666666667
Trades:
Buy     1       1358.00 7/1/2012  4:45:29 PM    Entry   1L
Buy     1       1354.50 7/1/2012  5:16:02 PM    Entry   2L
Sell    1       1358.25 7/2/2012  1:14:55 AM    Exit    1L
Buy     1       1356.75 7/2/2012  7:00:00 AM    Entry   2L
Sell    1       1357.50 7/2/2012 12:35:05 PM    Exit    1L

I prefer to think of it this way.
The cost basis for the one contract I have left is:
1358.00 + 1354.50 - 1358.25 + 1356.75 - 1357.50 = 1353.50

So, I'm effectively long 1 contract from 1353.50 at the end of the trading day.